商业银行系统的不良贷款率模型.doc

商业银行系统的不良贷款率模型【外文翻译】 外文翻译原文Non-performing loans probability In the commercial banking systemMaterial Source: Empirical Economics,Physical Verlag, April 05, 2002Author: Bernardo Maggi,Marco Guida This article deals with the problem of loans that do not perform NPL from now on.Though such a problem is dated back in the literature on banking systems, little space has been given to it for the difficulty both to obtain the necessary data and to embed it appropriately in the methodology till now developed on the bank efficiency. As for the former, acknowledged data bases reveal the absence of information on the most important variable for this study, i.e. the bad loans. As for the latter, the question is how to account for the bad loans in a specific function to obtain reasonable results from the efficiency point of view. The puzzle is that, as argued in Berger and De Young 1997, there exists simultaneity between NPL and inefficiency but the link represented by bad loans is to be excluded from the explicative variables of the function used to avoid diminishing the inefficiency measured in the regression residuals, in the case of bad loans not due to internal factors. In this respect, the attempts to address the problem, such as that of Hughes and Mester 1993, though pioneering, fail in that NPL are included as a whole in cost function without distinguishing between bad loans due to bad management and those due to external factors which, not depending on the bank, should not be counted in the inefficiency. As a consequence, only the former effect should be included in the cost function specification. From their side, Berger and De Young 1997 focused on this problem but without modeling the NPL in the cost function, rather they use the cost function only to compute the inefficiency and then leaving to a causality analysis the job of explaining their relationship. However, the conclusions from this method, though correct, are not exhaustive in that: firs state only gross statistical association and secondly are general i.e. are not referable to a specific bank. Only Pastor 1999, 2002 and Pastor and Serrano 2005 face frontally the problem and distinguish between NPL deriving from internal and external causes, calculating efficiency accordingly. However, Pastor 1999, 2002 uses a non-parametric approach with the caveats implied for the deterministic techniques that do not allow inference on the functions for the bank management. He uses a DEA analysis at several stages to evaluate the composition of problem loans in conjunction with the two mentioned causes pictured by apposite variables. Pastor and Serrano 2005 for first used a parametric approach. They skip the problem of simultaneity recurring to ad hoc instrumental variables to represent the internal and external causes of NPL and then inefficiency. As a consequence, the evaluation of the cost of the non-performing loans, as well as the structure of the cost function, is strongly affected by the discretion both in the choice of such instruments and in the use of their possible combinations. Then, the two authors do not enter in the cost structure questions and jump straightly to the use of the cost and profit function as a frontier for the measurement of the efficiency. Other recent researches started studying this problem but with particular reference to both developing countries and emergent economies Hauner and Peiris2005; Matthewes et al. 2007, for the implications?due to the insolvency of the banking sector?on the economic growth and the performance of the banks, respec tively. Such studies consist either in netting the loans of the non performing part or in considering NPL as an exogenous variable useful to pick downward shifts in the profits. We go more into depth and propose a theoretical and empirical analysis to place the problem of then on-performing loans in the cost efficiency frameworkWe develop an analysis based on the probability on NPL to occur, governed by some parameters representing the structural and local factors both exogenous that concern our problem while the internal factors depend on the aim of the bank of capturing loans. In such a way our methodology is easily interpretable and more quickly applicable given that the effects of the exogenous factors are represented by the just mentioned parameters. Our intention is to gauge how much of the efforts in managing and monitoring loans succeed in preserving the bank from the non-performing loans. In order to answer this question, we formalize a general methodology, independently of the contextual economic situation of the country and capable to capture the linkage between NPL and cost structure of the commercial banking system. We refer to the widest European bank and, specifically, to the Italian case where problem loans did matter. We take into consideration the marginal effect of the non-performing loans on the operating costs by using and estimating a transformation function that connects loans with NPL. By exploiting this indirect relationship we also show a possible way out of the dilemma of the simultaneous estimation between the cost function and NPL which, though logic in principle, would alter the analysis with an overestimated efficiency for the additional variable NPL in the cost function Berger and De Young 1997. We represent the link between loans and non-performing loans by stressing the role of the geographical position of the bank. Such a choice is also motivated by the importance that the economic specificities, associated to the geographical localization of the loans, experimented especially by the US, played in the banking sector recent international financial crises of 2007 and 2008. In doing so, we evaluate and use the density function of a loan to become none performing and another measure of probability that connects loans with the more general concept of uncertain loans. We then study where, on average, a bank is positioned with respect to the imum sustainable level of NPL thus evaluating the propensity of the bank to protect itself from the credit risk. Finally, we conclude by proposing an index?that summarizes the issues stemming from the question we moved from?of efficiency and effectiveness, related, respectively, to the management of the loans and to the capacity to prevent non-performing loans, according to the mentioned probability. Alternative ways to measure the effect of NPL may be found in the efficiency literature of the undesired outputs. In such a context, the problem becomes to find the correspondent NPL shadow price following Pittman 1983 and Fare et al. 1993. The two authors propose a deterministic approach solving a imization problem for, respectively, a profit and a revenue function defined in terms of the distance function. In the first case, shadow prices derive from apposite constraints representing the regulation, and in the second case shadow prices derive directly from the imization problem exploiting Shephards dual lemma and assuming that, for marketable outputs, market and shadow prices are the same. Our choice fell on the indirect cost function approach for preference of the parametric approach as argued above and for the additional information from the NPL probability. This article is organized as follows. In the second section, we present the basic theoretical relationships to which we refer for the estimation. In the third section, we reason on the variables to include in the cost function in connection with the scope of our analysis and describe our data set. In the fourth section, we present the econometric analysis of such a function according to the literature of the flexible functional forms. In the fifth section, where the focus is centered on the problem of the NPL, we estimate their trade-off with loans and evaluate the attitude to the credit risk of the bank The sixth section reports the final calculation of the effect of NPL on the marginal cost and some other efficiency and effectiveness indicators. The seventh section concludes. Conclusions and further remarks In this study, we move from the consideration of the lack, in the literature of efficiency in the banking sector, of an accurate dealing with the NPL. We formalize a model for the placement of the NPL in the cost function thus trying to fill somehow the hiatus in this respect and giving further potential to the tools so far available. We answer the question of how much of the efforts in terms of costs for managing and monitoring loans succeed in preserving the bank from the non-performing loans i.e. we measure the change in the cost function due to new incoming L and select, proportionally, the expenses associated with the generated NPL. Our framework is based on the consideration that NPL is not directly an item of the cost function but can be viewed as a transformation of the loans that stands for the banks trade-off between these two. From this representation we derive the density function of a loan to become non-performing which gives the possibility to study how, on average, the bank is positioned with respect to the imum sustainable level of NPL and to evaluate the propensity of the bank to protect him from the credit risk. This is done by assigning a particular role to the geographical aspects that are found to be relevant both in the transformation and cost function estimation. This allows for the possibility to make considerations on the efficiency and effectiveness of the costs management referred to both loans and non-performing loans and, consequently, to control costs with reference to there gions considered. We find that traditional output-elasticity indicators do not fit properly with the problem of NPL and propose more representative measures. We ind that the effect of a change in the probability of an uncertain loan to become non performing is extremely costly for the banking system thus further encouraging the research in this field with an analysis that, from the one hand, disentangles the specific categories of loans and their degree of risk and, from the other hand, could test the effectiveness of such credit policies. 译文商业银行系统的不良贷款率模型资料来源:物理实证经济学,2002.4.5作者:Bernardo Maggi,Marco Guida 本文就不良贷款的问题进行了论述。尽管此问题为银行体制中的历史问题,但从现有银行发展的有效性程度看,获取必要数据以及将其适当地用于方法论中仍很困难,所以对不良贷款的研究还是不够多。至于获取必要数据,已有数据库显示和此研究相关的重要可变信息缺乏,如呆账的信息匮乏。至于后者,问题在于如何用一个特定函数解释坏账,并从有效性角度得出一个合理的结果。伯格及德阳指出,疑问在于不良贷款和低效同时存在,但能阐释这两者关系的坏账却从变量函数中排除在不因内部因素影响下的不良贷款的情况下来避免回归残差减少测量的低效率。从这个角度讲,尽管先驱哈格及麦斯特(1933)尝试解决这个问题,但他们却因为没有将包括在价值函数中的不良贷款中疏于管理产生的坏账以及那些不依赖银行的外界因素产生的无效性不应算在内区分开来而失败了。因而,只有因疏于管理而产生的坏账才应归入价值函数。虽然伯格及德阳关注这一问题,但他们没有将不良贷款(NPL)列入价值函数中,却使用了价值函数计算低效,然后用因果分析法来解释他们的关系。即使这个方法没错,但用此方法得出的结论不全面,首先他们的陈述只是总的数据关联,其次这些数据很笼统不足以供一个银行进行参考。而帕斯特和瑟兰诺正视这个问题,并将内外因从不良贷款中区分开来分别来计算有效性。然而帕斯特1999,2002用非参数法及附加说明暗指确定性经营技巧 ,这不能推断出银行经营功能。他在一些阶段用数据交换协议分析法,结合刚才提到的用一定参数形容的两点来评估问题贷款的组成。帕斯特和瑟兰诺第一次使用参数法。他们忽视了临时仪器变量能同时代表引起不良贷款的内外因问题,其次忽略了无效性问题。因而,仪器的选择以及其可能组合的使用将极大影响不良贷款成本以及价值函数结构的评估。另外,这两位作者未就成本结构问题进行分析而直接使用价格及利润函数作为有效性的测量方法。现在也有其他研究项目开始研究这一问题,但大都关于发展中国家以及一些新兴经济体哈诺、派瑞斯2005;马特2007等人,因经济增长却无力偿还银行贷款。我们将从理论与实际角度进一步分析不良贷款在成本效率结构中的问题。我们以不良贷款发生几率为基础进行分析,由一些与我们问题相关的、能代表结构和地方因素(都为外因)的参数为指导,而内部因素依赖于银行贷款的目的。这样,通过对我们刚才提及参数代表的外因